Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0975
Annualized Std Dev 0.2584
Annualized Sharpe (Rf=0%) 0.3773

Row

Daily Return Statistics

Close
Observations 2940.0000
NAs 1.0000
Minimum -0.1294
Quartile 1 -0.0073
Median 0.0005
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0084
Maximum 0.1286
SE Mean 0.0003
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0011
Variance 0.0003
Stdev 0.0163
Skewness -0.0252
Kurtosis 7.9241

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0119
Loss Deviation 0.0121
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.5103
Historical VaR (95%) -0.0236
Historical ES (95%) -0.0380
Modified VaR (95%) -0.0238
Modified ES (95%) -0.0358
From Trough To Depth Length To Trough Recovery
2018-06-11 2020-03-23 2021-03-08 -0.5103 690 449 241
2010-04-26 2011-10-03 2013-03-14 -0.3391 719 363 356
2015-12-02 2016-02-11 2016-11-09 -0.2275 238 49 189
2017-03-02 2017-09-07 2017-11-29 -0.1499 190 132 58
2014-03-21 2014-10-10 2015-05-19 -0.1314 293 142 151

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA 0.4 -3.1 -1.7 -3.7 0.4 -0.5 -8
2010 -0.2 0 -0.4 -2.2 -2.4 -1.5 0 3.1 0.1 -2.1 2.2 -1 -4.5
2011 2.1 -0.9 0.5 -0.5 -2.2 1.1 -0.3 -3.3 -3 -5.7 -1 -1.1 -13.6
2012 1.9 0.2 -0.2 1 -4.3 3.6 0.4 0.3 0.2 0.8 0.1 0.2 3.9
2013 1.3 -0.2 -2.4 -1.8 -1.1 1.6 1.7 -1.2 1.1 -0.4 0.4 0 -1.2
2014 -1.4 1.1 1.8 -0.8 0.2 1.4 -1.3 0.3 -1 1.9 -1.6 -0.6 0
2015 -1.6 -0.3 0 -0.9 -0.5 0.7 0.2 -3.8 -0.2 -2.8 0.4 -1.6 -10.1
2016 -0.7 3 -0.1 -0.1 0.4 -1.4 -0.8 -0.8 1.4 -0.8 1.6 -0.3 1.4
2017 -0.4 2.7 -0.7 1.2 1.8 -0.7 0.7 0.5 0.3 -0.9 -0.6 -1.1 3
2018 1.3 0.2 0.2 0.6 0.9 -0.6 0.9 0.7 -1.2 0.9 1.3 0.5 6
2019 0.9 0.2 2.4 -1 -1.6 0.4 -3.5 0.1 -2.5 1.6 -0.6 -0.1 -3.6
2020 -1.9 -5 -5.6 -4.2 -0.3 -3.6 -1.2 -0.1 0.8 0.6 2.2 0.4 -16.9
2021 1.7 3 -0.1 NA NA NA NA NA NA NA NA NA 4.7

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart